Large deviations for independent random walks (Q583708): Difference between revisions
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In a system of independent random walks on \({\mathbb{Z}}\), let \(\xi_ n(x)\) denote the number of particles at x at time n, and let \(L_ n(x)=\xi_ 0(x)+...+\xi_ n(x)\) be the total occupation time of x by time n. The following large deviation asymptotics are derived for \(L_ n=L_ n(0)- L_ n(1):\) a) If \(\xi_ 0\) is a nonrandom initial configruation with \[ (*)\quad (2n)^{-1}\sum^{n}_{m=-n}\xi_ 0(m)\to 1\quad as\quad n\to \infty, \] then, for \(3/4<\alpha <2\) and \(a>0\), as \(n\to \infty\), \[ (1)\quad n^{(2-6\alpha)/5} \log P(L_ n>a n^{\alpha})\to - (5/4)(2a/3)^{6/5}. \] Moreover, under (*) and \(\alpha =3/4\), \[ (2)\quad n^{-1/2} \log P(L_ n>a n^{3/4})\to -I(a), \] where the large deviation functional I is determined by the asymptotic behavior of any single particle. b) If (*) above is replaced by (**) \(\xi_ 0(x)\), \(x\in {\mathbb{Z}}\), are i.i.d. Poisson with mean one, then assertion (2) retains, but with I(a) becoming strictly larger. Hence it follows that the Poisson process will more easily achieve large weighted occupation times. The difference in large deviations behavior is even more severe, when \(\alpha >3/4\). A lower bound \[ (3)\quad P(L_ n>n^{\alpha})\geq \exp (-2\gamma n^{\gamma} \log n), \] where \(\gamma =\alpha -1/4\), demonstrates this fact. | |||
Property / review text: In a system of independent random walks on \({\mathbb{Z}}\), let \(\xi_ n(x)\) denote the number of particles at x at time n, and let \(L_ n(x)=\xi_ 0(x)+...+\xi_ n(x)\) be the total occupation time of x by time n. The following large deviation asymptotics are derived for \(L_ n=L_ n(0)- L_ n(1):\) a) If \(\xi_ 0\) is a nonrandom initial configruation with \[ (*)\quad (2n)^{-1}\sum^{n}_{m=-n}\xi_ 0(m)\to 1\quad as\quad n\to \infty, \] then, for \(3/4<\alpha <2\) and \(a>0\), as \(n\to \infty\), \[ (1)\quad n^{(2-6\alpha)/5} \log P(L_ n>a n^{\alpha})\to - (5/4)(2a/3)^{6/5}. \] Moreover, under (*) and \(\alpha =3/4\), \[ (2)\quad n^{-1/2} \log P(L_ n>a n^{3/4})\to -I(a), \] where the large deviation functional I is determined by the asymptotic behavior of any single particle. b) If (*) above is replaced by (**) \(\xi_ 0(x)\), \(x\in {\mathbb{Z}}\), are i.i.d. Poisson with mean one, then assertion (2) retains, but with I(a) becoming strictly larger. Hence it follows that the Poisson process will more easily achieve large weighted occupation times. The difference in large deviations behavior is even more severe, when \(\alpha >3/4\). A lower bound \[ (3)\quad P(L_ n>n^{\alpha})\geq \exp (-2\gamma n^{\gamma} \log n), \] where \(\gamma =\alpha -1/4\), demonstrates this fact. / rank | |||
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Property / reviewed by: Josef G. Steinebach / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F10 / rank | |||
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Property / Mathematics Subject Classification ID: 60G50 / rank | |||
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Property / zbMATH DE Number: 4133224 / rank | |||
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Property / zbMATH Keywords | |||
hitting time | |||
Property / zbMATH Keywords: hitting time / rank | |||
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total occupation time | |||
Property / zbMATH Keywords: total occupation time / rank | |||
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large deviation asymptotics | |||
Property / zbMATH Keywords: large deviation asymptotics / rank | |||
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large deviation functional | |||
Property / zbMATH Keywords: large deviation functional / rank | |||
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weighted occupation times | |||
Property / zbMATH Keywords: weighted occupation times / rank | |||
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Revision as of 19:24, 1 July 2023
scientific article
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English | Large deviations for independent random walks |
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Large deviations for independent random walks (English)
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1990
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In a system of independent random walks on \({\mathbb{Z}}\), let \(\xi_ n(x)\) denote the number of particles at x at time n, and let \(L_ n(x)=\xi_ 0(x)+...+\xi_ n(x)\) be the total occupation time of x by time n. The following large deviation asymptotics are derived for \(L_ n=L_ n(0)- L_ n(1):\) a) If \(\xi_ 0\) is a nonrandom initial configruation with \[ (*)\quad (2n)^{-1}\sum^{n}_{m=-n}\xi_ 0(m)\to 1\quad as\quad n\to \infty, \] then, for \(3/4<\alpha <2\) and \(a>0\), as \(n\to \infty\), \[ (1)\quad n^{(2-6\alpha)/5} \log P(L_ n>a n^{\alpha})\to - (5/4)(2a/3)^{6/5}. \] Moreover, under (*) and \(\alpha =3/4\), \[ (2)\quad n^{-1/2} \log P(L_ n>a n^{3/4})\to -I(a), \] where the large deviation functional I is determined by the asymptotic behavior of any single particle. b) If (*) above is replaced by (**) \(\xi_ 0(x)\), \(x\in {\mathbb{Z}}\), are i.i.d. Poisson with mean one, then assertion (2) retains, but with I(a) becoming strictly larger. Hence it follows that the Poisson process will more easily achieve large weighted occupation times. The difference in large deviations behavior is even more severe, when \(\alpha >3/4\). A lower bound \[ (3)\quad P(L_ n>n^{\alpha})\geq \exp (-2\gamma n^{\gamma} \log n), \] where \(\gamma =\alpha -1/4\), demonstrates this fact.
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hitting time
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total occupation time
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large deviation asymptotics
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large deviation functional
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weighted occupation times
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